A numerical scheme for the quantile hedging problem
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Cited by:
- Christelle Dleuna Nyoumbi & Antoine Tambue, 2023. "A Novel High Dimensional Fitted Scheme for Stochastic Optimal Control Problems," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 1-34, January.
- Luisa I. Martínez-Merino & Diego Ponce & Justo Puerto, 2023. "Constraint relaxation for the discrete ordered median problem," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 538-561, October.
- Géraldine Bouveret & Athena Picarelli, 2020. "A Level-Set Approach for Stochastic Optimal Control Problems Under Controlled-Loss Constraints," Journal of Optimization Theory and Applications, Springer, vol. 186(3), pages 779-805, September.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2019-03-04 (Computational Economics)
- NEP-RMG-2019-03-04 (Risk Management)
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